I'd just use whatever you used to mount the heads.
Normally with those heads I just put a lot of glue on the taper so it squeezes out the hole. Then while it's still wet, or hot if using hot melt, use your finger to smooth it over. Nothing to it.
Plus, I like the thought of having the ferrule completely filled. That way the arrow doesn't move forward as easily and break the bond if you hit a hard surface.
I wouldn't use caulk as most glues won't stick to it if you want to remount the heads on another arrow. Plus it just complicates things.